Effects of unusual R&D expenditures on stock returns -- evidences from the listed companies in Taiwan
This study examines the Research and Development (R&D) effect on stock returns. By modifying Kyle's (1985) model, we construct an asset pricing model and propose a related hypothesis to investigate the information-related content of unusual increases in R&D expenditures. The empirical evidence shows that R&D increases might not be beneficial investments and the information-related value of R&D increases is gradually incorporated in the stock price system. Therefore, we document that the stock market is informationally efficient in the semi-strong form.
Year of publication: |
2012
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Authors: | Li, Jian-Fa ; Lin, Yih-Bey ; Hong, Cheng-Yih |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 19.2012, 4, p. 383-386
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Publisher: |
Taylor & Francis Journals |
Saved in:
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